I've always worked on one novel at a time.
If an idea for a new story wouldn't stop bugging me, I'd let myself write some notes in a notebook to at least get it out onto the page somewhere. But I wouldn't let myself actually start writing it, because when you're in the middle of writing a book, it is not fun. It's work, work, and more work. There's a reason why writers often describe it as "slogging through the middle."
See, it's fun, starting a new story. There is hope for great things and the characters are full of possibilities. There aren't pages and pages of your imperfect words that depress you, and so, the beginning is fun! But the middle, the middle is usually not fun. You have to figure out pacing and what obstacles to put in your character's way and you have to keep thinking of ways to keep the tension going. You have to keep track of all the different threads and make sure you don't drop one or two or seven. It's hard. Many novels are abandoned in the middle, so usually, I make myself finish a book before I allow myself to start working on another one. A new story often makes a great carrot for a writer.
But for the past month, I've been working on two different novels. And you know what? Right now, I really, really like working this way. I work on one for a couple of days and then, when I want my subconscious to think on it for a while or I get bored with it or whatever, I switch over to the other one and work on that one for a while. There is something really great about having different things for my brain to work on. Some days, I work on one in the morning and the other one in the afternoon. It's like in school when we'd do writing in the morning and math in the afternoon - keeps things interesting, you know?
So not only am I trying my hand at some new genres (for me), I'm also trying out a new way of working. Sometimes it's good to shake things up. In fact, sometimes, I'd argue, it's quite necessary!